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研究生:周均亭
研究生(外文):Chun-Ting Chou
論文名稱:流動性危機與銀行資本適足率策略探討─以歐債危機為例
論文名稱(外文):Rethinking on Liquidity Shock and Capital Requirement Strategies under European Debt Crisis
指導教授:胡聯國胡聯國引用關係
指導教授(外文):Len-Kuo Hu
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際經營與貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
畢業學年度:100
語文別:中文
論文頁數:65
中文關鍵詞:資本適足率歐債危機巴賽爾協定流動性危機
外文關鍵詞:Capital RequirementEuropean Sovereign Debt CrisisThe Basel AccordLiquidity shock
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銀行資本適足率為確保整個銀行與經濟體系穩定與完善的重要指標之一,而近年來隨著新巴塞爾協定之推行,經濟學家間掀起關於現行資本適足率的適切性的討論。本篇論文以流動性危機、道德風險建構模型,在此基礎下推導出最適資本適足率策略,模型主要論點為資本適足率需根據各國經濟情勢而有所調整,當一國的GDP與利率呈現正向關係時,意味資本適足於經濟成長時緊縮(提高),而於經濟衰退時放寬(下降);而當一國GDP與利率呈現負相關時,則資本適足率於經濟成長時放寬(下降),而於經濟衰退時緊縮(提升)。
在此模型理論基礎下,本篇論文以歐元區十七國之資料來深入探討歐債危機之下資本適足率的策略。實證結果顯示,在2005Q2到2011Q3大部份的國家GDP與利率呈現正向關係,亦即資本適足率與所得之反向循環策略是較適當的,追蹤資料分析更指出貿易程度開放的國家需要相對較嚴格的資本適足率策略,而較傾向實行財政政策之國家需要更寬鬆的資本適足率策略。本篇論文亦對2012年各國應有的資本適足率策略做預測,結果證實歐洲各國應採行資本適足率與所得之正向循環策略,其中,希臘、義大利、西班牙、法國,在經濟衰退之時需要寬鬆的資本適足率策略,但寬鬆(下降)幅度必需有所限制。

Capital requirement serve as an important key for ensuring the stability and effectiveness of the overall economy. As the new Basel Accord has announced, debates over how capital requirement should be implemented, especially in the times of crisis, are heated among economist. In this paper, based on liquidity shock and moral hazard problem, we derive the optimal capital requirement strategies, which depend on general economic condition. We argue that counter-cyclical capital requirement, which adopts looser capital requirement when GDP decreases and increases capital requirement when GDP increases, should be adopted when GDP and interest rate is positively correlated while pro-cyclical capital requirement are appropriate when GDP and interest rate is negatively related.
To further characterize the problem under European Debt Crisis, we use 17 countries in Euro Zone to conduct empirical test and panel estimation. We conclude that most countries should adopt counter-cyclical capital requirement during 2005Q2 to 2011Q3. Besides, our panel estimation indicate that countries with more trade openness should adopt more flexible capital requirement policies, while countries who focus more on fiscal policy weight should have larger adjustment on their capital requirement. Finally, our forecast result suggests that in 2012, all the countries in Euro Zone should adopt counter-cyclical capital requirement policies. In particular, Greece, Italy, Spain, Portugal and France should have looser capital requirement compared to other countries.
Keywords: Capital Requirement, European Sovereign Debt Crisis, The Basel Accord, Liquidity shock

摘要 i
Abstract ii
1. Introduction 1
1.1 European Sovereign Debt Crisis 1
1.2 Basel Accord and Capital Requirement 2
2. Literature Review 5
3 The Model 10
3.1 The Set Up 10
3.2 Loan-Equity Ratio and Bankruptcy Threshold 11
3.3 Bankruptcy Threshold from Consumer's Approach 14
4 Optimal Capital Requirement 17
4.1 GDP and Interest Rate 17
4.2 Keynesian Model and the Specific Form 19
5 The Estimation and Result 22
5.1 The Data 22
5.2 Simple Regression 22
5.3 The Result 25
摘要 i
Abstract ii
1. Introduction 1
1.1 European Sovereign Debt Crisis 1
1.2 Basel Accord and Capital Requirement 2
2. Literature Review 5
3 The Model 10
3.1 The Set Up 10
3.2 Loan-Equity Ratio and Bankruptcy Threshold 11
3.3 Bankruptcy Threshold from Consumer's Approach 14
4 Optimal Capital Requirement 17
4.1 GDP and Interest Rate 17
4.2 Keynesian Model and the Specific Form 19
5 The Estimation and Result 22
5.1 The Data 22
5.2 Simple Regression 22
5.3 The Result 25
6 Panel Data Estimation 29
6.1 The Unit Root Test 29
6.2 Panel Data Analysis 30
6.3 Forecasting and Future Policy Suggestion 33
7 Conclusion 36
Appendix A: Detail Definition of Variables 38
Appendix B: Value of Interest-Rate-to-Income Effect in 17 Euro Zone Country 41
Appendix C: Descriptive Analysis of Raw Data 43
C.1 GDP . 43
C.2 Cumulative Debt Level to GDP ratio 44
C.3 Trade Openness (Trade flow/GDP) 46
C.4 Monetary and Fiscal Policy: Weight and Effectiveness 48
Reference 52

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Bayoumi, T. &; Vitek, F. (2011). Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis. CEPR Discussion Paper no. 8497.
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3885-3900.
Kashyap, A. K., &; Stein, J. C. (2004). Cyclical implications of the Basel II capital standards. Federal Reserve Bank of Chicago Economic Perspectives, no 1, 18-31.8
Len-Kuo Hu. (2012). Liquidity Shock, Bank Capital Requirement and Economic Cycle. Unpublished Working Paper, National ChengChi University, Taipei.
Holmstrom, B., &; Tirole, J.(2011). Inside and outside liquidity. Cambridge, MA: The MIT Press.
Obstfeld, M. (1996). Models of currency crises with self-fulfilling features. European Economic Review, 40(3-5),1037-1047.
Rochet, J. C., &; Tirole, J. (1996). Interbank lending and systemic risk. Journal of Money, Credit &; Banking, 28(4), 733-762.
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Stolz, S., &; Wedow, M. (2011). Banks’ regulatory capital buffer and the business cycle: Evidence for Germany. Journal of Financial Stability, 7(2), 98-110.
Zhu, H (2007). Capital regulation and banks’ financial decisions. International Journal of Central Banking, 4(1), 165-211.



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